Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Dec 04 (1D) Dec 05 (2D) Dec 08 (5D) Dec 09 (6D) Dec 10 (7D) Dec 11 (8D) Dec 12 (9D) Dec 15 (12D) Dec 16 (13D) Dec 17 (14D) Dec 19 (16D) Dec 26 (23D)
lower 678.134 675.75 671.019 669.791 668.661 667.609 666.622 663.95 663.136 662.353 660.866 656.285
upper 689.646 692.03 696.761 697.989 699.119 700.171 701.158 703.83 704.644 705.427 706.914 711.495
expected move 5.756 8.14 12.871 14.099 15.229 16.281 17.268 19.94 20.754 21.537 23.024 27.605
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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